Thursday, December 07, 2023

Stocks Rising into Final Hour on US Economic "Soft-Landing" Hopes, AI Implementation Optimism, Dollar Weakness, Tech/Financial Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.1 +1.0%
  • DJIA Intraday % Swing .36% -25.4%
  • Bloomberg Global Risk On/Risk Off Index 58.5 +1.7%
  • Euro/Yen Carry Return Index 166.1 -2.3%
  • Emerging Markets Currency Volatility(VXY) 8.0 +.6%
  • CBOE S&P 500 Implied Correlation Index 21.0 -2.0% 
  • ISE Sentiment Index 156.0 +10.0
  • Total Put/Call .97 +11.5%
  • NYSE Arms 1.24 +5.1% 
  • NYSE Non-Block Money Flow +$141.4M 
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.4 -.9%
  • US Energy High-Yield OAS 360.1 +1.4%
  • Bloomberg TRACE # Distressed Bonds Traded 382 +18.0
  • European Financial Sector CDS Index 76.2 +.08% 
  • Deutsche Bank Subordinated 5Y Credit Default Swap 231.42 +.03%
  • Italian/German 10Y Yld Spread 175.0 basis points +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 100.3 +.2%
  • Emerging Market CDS Index 185.4 -.74%
  • Israel Sovereign CDS 113.0 -1.3%
  • China Corp. High-Yield Bond USD ETF(KHYB) 25.6 +.43%
  • 2-Year SOFR Swap Spread -19.75 basis points -1.0 basis point
  • TED Spread 25.25 basis points +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.5 +.25 basis point
  • MBS  5/10 Treasury Spread 150.0 unch.
  • Bloomberg CMBS Investment Grade Bbb Average OAS 952.0 +3.0 basis points
  • Avg. Auto ABS OAS 85.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 41.6 +.03%
  • 3-Month T-Bill Yield 5.39% -1.0 basis point
  • China Iron Ore Spot 134.8 USD/Metric Tonne +.7%
  • Dutch TTF Nat Gas(European benchmark) 40.0 euros/megawatt-hour +1.7%
  • Citi US Economic Surprise Index 11.7 -.5 point
  • Citi Eurozone Economic Surprise Index -21.2 -.6 point
  • Citi Emerging Markets Economic Surprise Index 26.9 +1.8 points
  • S&P 500 Current Quarter EPS Growth Rate YoY(495 of 500 reporting) +4.4% -.1 percentage point
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 242.43 +.04:  Growth Rate +9.5% unch., P/E 18.9 unch.
  • S&P 500 Current Year Estimated Profit Margin 12.12% -1.0 basis point
  • NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +50.6% unch.
  • NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 285.51 +.14: Growth Rate +34.3% +.4 percentage point, P/E 28.8 +.2
  • Bloomberg US Financial Conditions Index .53 +2.0 basis points
  • Bloomberg Euro-Zone Financial Conditions Index .27 +2.0 basis points
  • US Yield Curve -45.5 basis points (2s/10s) +3.25 basis points
  • US Atlanta Fed 4Q GDPNow Forecast +1.25% -2.0 basis points
  • US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 57.8% +.1 percentage point
  • Cleveland Fed Inflation Nowcast Core PCE YoY +3.46% unch.: CPI YoY +3.04% unch.
  • 10-Year TIPS Spread 2.17 +2.0 basis points
  • Highest target rate probability for Jan. 31st FOMC meeting: 81.7%(-5.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 52.8%(-1.2 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -468 open in Japan 
  • China A50 Futures: Indicating +6 open in China
  • DAX Futures: Indicating +52 open in Germany
Portfolio:
  • Higher:  On gains in my transport/industrial/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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